Lincoln National 8K Results of Operations and Financial Condition | LNC 27 Apr 11


Lincoln Financial Group
Available-For-Sale ("AFS") Securities by Industry Classifications
(in millions)

	As of March 31, 2011											As of December 31, 2010
					Unrealized				%							Unrealized				%
	Amortized		Unrealized		Losses		Fair		Fair			Amortized		Unrealized		Losses		Fair		Fair
Fixed Maturity AFS Securities	Cost		Gains		and OTTI		Value		Value			Cost		Gains		and OTTI		Value		Value
Industry corporate bonds:
Financial services	$	8,546	$	438	$	136	$	8,848		12.7	%	$	8,377	$	438	$	148	$	8,667		12.7	%
Basic industry		2,612		196		16		2,792		4.0	%		2,478		203		20		2,661		3.9	%
Capital goods		3,690		232		38		3,884		5.6	%		3,425		243		45		3,623		5.3	%
Communications		3,068		236		33		3,271		4.7	%		3,050		251		32		3,269		4.8	%
Consumer cyclical		2,989		171		55		3,105		4.4	%		2,772		185		47		2,910		4.2	%
Consumer non-cyclical		7,647		556		27		8,176		11.7	%		7,259		628		20		7,867		11.5	%
Energy		4,697		377		22		5,052		7.2	%		4,533		428		17		4,944		7.2	%
Technology		1,536		96		10		1,622		2.3	%		1,414		108		9		1,513		2.2	%
Transportation		1,371		103		5		1,469		2.1	%		1,379		116		3		1,492		2.2	%
Industrial other		927		51		8		970		1.4	%		884		53		10		927		1.4	%
Utilities		10,058		640		78		10,620		15.2	%		9,800		708		62		10,446		15.2	%
Corporate asset-backed securities ("ABS"):
Collateralized debt obligations ("CDOs")		106		5		5		106		0.2	%		128		22		8		142		0.2	%
Commercial real estate ("CRE") CDOs		43		-		13		30		0.0	%		46		-		14		32		0.0	%
Credit card		832		32		4		860		1.2	%		831		33		4		860		1.3	%
Home equity		980		6		243		743		1.1	%		1,002		6		268		740		1.1	%
Manufactured housing		106		3		2		107		0.2	%		110		3		4		109		0.2	%
Auto loan		122		2		-		124		0.2	%		162		2		-		164		0.2	%
Other		203		23		-		226		0.3	%		211		21		1		231		0.3	%
Commercial mortgage-backed securities ("CMBS")
Non-agency backed		1,966		89		123		1,932		2.8	%		2,144		95		186		2,053		3.0	%
Collateralized mortgage and other obligations ("CMOs")
Agency backed		3,784		284		1		4,067		5.8	%		3,975		308		1		4,282		6.2	%
Non-agency backed		1,654		19		192		1,481		2.1	%		1,718		16		259		1,475		2.1	%
Mortgage pass through securities ("MPTS"):
Agency backed		2,984		83		7		3,060		4.4	%		2,978		106		5		3,079		4.5	%
Non-agency backed		2		-		-		2		0.0	%		2		-		-		2		0.0	%
Municipals:
Taxable		3,320		38		81		3,277		4.7	%		3,219		27		94		3,152		4.6	%
Tax-exempt		3		-		-		3		0.0	%		3		-		-		3		0.0	%
Government and government agencies:
United States		907		112		3		1,016		1.5	%		931		120		2		1,049		1.5	%
Foreign		1,482		82		8		1,556		2.2	%		1,438		94		7		1,525		2.2	%
Hybrid and redeemable preferred stock		1,457		74		112		1,419		2.0	%		1,476		56		135		1,397		2.0	%
Total fixed maturity AFS securities		67,092		3,948		1,222		69,818		100.0	%		65,745		4,270		1,401		68,614		100.0	%
Equity AFS Securities		120		25		-		145					179		25		7		197
Total AFS securities		67,212		3,973		1,222		69,963					65,924		4,295		1,408		68,811
Trading Securities (1)		2,347		285		34		2,598					2,340		297		41		2,596
Total AFS and trading securities	$	69,559	$	4,258	$	1,256	$	72,561				$	68,264	$	4,592	$	1,449	$	71,407

(1)	Certain of our trading securities support our modified coinsurance arrangements ("Modco") and the investment results are passed directly to the reinsurers. Refer to the "Trading Securities" section of our 2010 Form 10-K for further details.

Lincoln Financial Group
AFS Securities Backed by Pools of Residential Mortgages
As of March 31, 2011
(in millions)

	Prime Agency				Prime/Non-Agency				Alt-A				Subprime				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost
Type
CMOs and MPTS	$	7,127	$	6,768	$	1,004	$	1,089	$	479	$	567	$	-	$	-	$	8,610	$	8,424
ABS home equity		5		4		-		-		276		341		462		635		743		980
Total by type (1)(2)	$	7,132	$	6,772	$	1,004	$	1,089	$	755	$	908	$	462	$	635	$	9,353	$	9,404

Rating
AAA	$	7,116	$	6,757	$	238	$	236	$	83	$	83	$	82	$	87	$	7,519	$	7,163
AA		-		-		30		34		15		23		31		31		76		88
A		16		15		8		9		33		36		77		80		134		140
BBB		-		-		48		52		48		48		51		64		147		164
BB and below		-		-		680		758		576		718		221		373		1,477		1,849
Total by rating (1)(2)(3)	$	7,132	$	6,772	$	1,004	$	1,089	$	755	$	908	$	462	$	635	$	9,353	$	9,404

Origination Year
2004 and prior	$	2,161	$	2,027	$	256	$	267	$	278	$	304	$	216	$	266	$	2,911	$	2,864
2005		853		795		187		210		226		270		179		238		1,445		1,513
2006		256		235		198		211		202		262		66		129		722		837
2007		1,119		1,018		363		401		49		72		-		-		1,531		1,491
2008		272		252		-		-		-		-		-		-		272		252
2009		1,302		1,278		-		-		-		-		1		2		1,303		1,280
2010		1,062		1,060		-		-		-		-		-		-		1,062		1,060
2011		107		107		-		-		-		-		-		-		107		107
Total by origination year (1)(2)	$	7,132	$	6,772	$	1,004	$	1,089	$	755	$	908	$	462	$	635	$	9,353	$	9,404

(1)	Does not include fair value of trading securities totaling $280 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $280 million in trading securities consisted of $251 million prime, $16 million Alt-A and $13 million subprime.
(2)	Does not include amortized cost of trading securities totaling $280 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $280 million in trading securities consisted of $246 million prime, $19 million Alt-A and $15 million subprime.
(3)	Credit ratings shown are based on ratings provided by the major credit rating agencies (Fitch Ratings ("Fitch"), Moody's Investors Service ("Moody's") and Standard & Poor's ("S&P")) or are based on internal ratings for those securities where external ratings are not available. For securities where the ratings assigned by the major rating agencies are not equivalent, the second highest of the three ratings assigned is used.

Lincoln Financial Group
AFS Securities Backed by Pools of Residential Mortgages
As of March 31, 2011
(in millions)

Prime Agency and Non-Agency

	AAA (3)				AA (3)				A (3)				BBB (3)				BB & Below (3)				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost
Origination Year
2004 and prior	$	2,363	$	2,229	$	25	$	29	$	24	$	24	$	3	$	5	$	2	$	7	$	2,417	$	2,294
2005		859		801		-		-		-		-		45		47		136		157		1,040		1,005
2006		270		248		5		5		-		-		-		-		179		193		454		446
2007		1,119		1,018		-		-		-		-		-		-		363		401		1,482		1,419
2008		272		252		-		-		-		-		-		-		-		-		272		252
2009		1,302		1,278		-		-		-		-		-		-		-		-		1,302		1,278
2010		1,062		1,060		-		-		-		-		-		-		-		-		1,062		1,060
2011		107		107		-		-		-		-		-		-		-		-		107		107
Total by origination year (1)(2)	$	7,354	$	6,993	$	30	$	34	$	24	$	24	$	48	$	52	$	680	$	758	$	8,136	$	7,861


Alt-A

	AAA (3)				AA (3)				A (3)				BBB (3)				BB & Below (3)				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost
Origination Year
2004 and prior	$	83	$	83	$	4	$	6	$	23	$	25	$	48	$	48	$	120	$	142	$	278	$	304
2005		-		-		6		12		10		11		-		-		210		247		226		270
2006		-		-		5		5		-		-		-		-		197		257		202		262
2007		-		-		-		-		-		-		-		-		49		72		49		72
Total by origination year (1)(2)	$	83	$	83	$	15	$	23	$	33	$	36	$	48	$	48	$	576	$	718	$	755	$	908

Subprime

	AAA (3)				AA (3)				A (3)				BBB (3)				BB & Below (3)				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost
Origination Year
2004 and prior	$	39	$	39	$	25	$	26	$	70	$	72	$	9	$	10	$	73	$	119	$	216	$	266
2005		43		48		6		5		7		8		42		54		81		123		179		238
2006		-		-		-		-		-		-		-		-		66		129		66		129
2009		-		-		-		-		-		-		-		-		1		2		1		2
Total by origination year (1)(2)	$	82	$	87	$	31	$	31	$	77	$	80	$	51	$	64	$	221	$	373	$	462	$	635

(1)	Does not include fair value of trading securities totaling $280 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $280 million in trading securities consisted of $251 million prime, $16 million Alt-A and $13 million subprime.
(2)	Does not include amortized cost of trading securities totaling $280 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $280 million in trading securities consisted of $246 million prime, $19 million Alt-A and $15 million subprime.
(3)	Credit ratings shown are based on ratings provided by the major credit rating agencies (Fitch Ratings ("Fitch"), Moody's Investors Service ("Moody's") and Standard & Poor's ("S&P")) or are based on internal ratings for those securities where external ratings are not available. For securities where the ratings assigned by the major rating agencies are not equivalent, the second highest of the three ratings assigned is used.

Lincoln Financial Group
AFS Securities Backed by Pools of Consumer Loan ABS
As of March 31, 2011
(in millions)

	Credit Card				Auto Loans				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost
Rating
AAA	$	838	$	810	$	124	$	122	$	962	$	932
BBB		22		22		-		-		22		22
Total by rating (1)(2)	$	860	$	832	$	124	$	122	$	984	$	954

(1)	Does not include the fair value of trading securities totaling $3 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $3 million in trading securities consisted of credit card securities.
(2)	Credit ratings shown are based on ratings provided by the major credit rating agencies (Fitch, Moody’s and S&P) or are based on internal ratings for those securities where external ratings are not available. For securities where the ratings assigned by the major rating agencies are not equivalent, the second highest of the three ratings assigned is used.

Lincoln Financial Group

AFS Securities Backed by Pools of Commercial Mortgages

As of March 31, 2011

(in millions)

	Multiple Property				Single Property				CRE CDOs				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost		Value		Cost
Type
CMBS	$	1,862	$	1,860	$	70	$	106	$	-	$	-	$	1,932	$	1,966
CRE CDOs		-		-		-		-		30		43		30		43
Total by type (1)	$	1,862	$	1,860	$	70	$	106	$	30	$	43	$	1,962	$	2,009

Rating
AAA	$	1,266	$	1,194	$	21	$	21	$	-	$	-	$	1,287	$	1,215
AA		243		239		10		10		-		-		253		249
A		148		147		12		13		3		3		163		163
BBB		110		110		6		6		12		14		128		130
BB and below		95		170		21		56		15		26		131		252
Total by rating (1)(2)	$	1,862	$	1,860	$	70	$	106	$	30	$	43	$	1,962	$	2,009

Origination Year
2004 and prior	$	1,170	$	1,152	$	38	$	38	$	6	$	7	$	1,214	$	1,197
2005		347		330		30		60		12		14		389		404
2006		146		177		2		8		12		22		160		207
2007		145		147		-		-		-		-		145		147
2010		54		54		-		-		-		-		54		54
Total by origination year (1)	$	1,862	$	1,860	$	70	$	106	$	30	$	43	$	1,962	$	2,009


	AAA (2)				AA (2)				A (2)				BBB (2)				BB & Below (2)				Total
	Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized		Fair		Amortized
	Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost		Value		Cost
Origination Year
2004 and prior	$	820	$	789	$	243	$	240	$	69	$	69	$	29	$	29	$	53	$	70	$	1,214	$	1,197
2005		304		280		-		-		11		10		44		49		30		65		389		404
2006		82		74		10		9		8		7		23		22		37		95		160		207
2007		73		64		-		-		29		31		32		30		11		22		145		147
2010		8		8		-		-		46		46		-		-		-		-		54		54
Total by origination year (1)	$	1,287	$	1,215	$	253	$	249	$	163	$	163	$	128	$	130	$	131	$	252	$	1,962	$	2,009

(1)	Does not include the fair value of trading securities totaling $66 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $66 million in trading securities consisted of $63 million CMBS and $3 million CRE CDOs.
(2)	Credit ratings shown are based on ratings provided by the major credit rating agencies (Fitch, Moody’s and S&P) or are based on internal ratings for those securities where external ratings are not available. For securities where the ratings assigned by the major rating agencies are not equivalent, the second highest of the three ratings assigned is used.

Lincoln Financial Group
Commercial Mortgage Loan Portfolio, Net of Reserves
As of March 31, 2011
(in millions)

Property Type	Carrying Value		%			State Exposure	Carrying Value		%
Office building	$	2,251		33.3	%	CA	$	1,455		21.5	%
Industrial		1,786		26.5	%	TX		610		9.0	%
Retail		1,583		23.5	%	MD		422		6.3	%
Apartment		741		11.0	%	VA		337		5.0	%
Hotel/Motel		163		2.4	%	FL		309		4.6	%
Mixed use		129		1.9	%	TN		302		4.5	%
Other commercial		96		1.4	%	WA		284		4.2	%
Total	$	6,749		100.0	%	NC		252		3.7	%
						AZ		242		3.6	%
						GA		228		3.4	%
	Carrying					IL		202		3.0	%
Geographic Region	Value		%			PA		198		2.9	%
Pacific	$	1,841		27.3	%	NV		187		2.8	%
South Atlantic		1,678		24.9	%	OH		182		2.7	%
West South Central		643		9.5	%	IN		168		2.5	%
East North Central		634		9.4	%	MN		153		2.3	%
Mountain		596		8.8	%	Other states under 2%		1,218		18.0	%
East South Central		430		6.4	%	Total	$	6,749		100.0	%
Middle Atlantic		421		6.2	%
West North Central		372		5.5	%
New England		134		2.0	%
Total	$	6,749		100.0	%

Lincoln Financial Group
Exposure to Monoline Insurers
As of March 31, 2011
(in millions)

									Total
					Total		Total		Unrealized		Total
	Direct		Insured		Amortized		Unrealized		Loss		Fair
	Exposure		Bonds (1)		Cost		Gain		and OTTI		Value
Monoline Name
AMBAC	$	-	$	218	$	218	$	3	$	37	$	184
ASSURED GUARANTY LTD		30		-		30		-		18		12
FGIC		-		75		75		1		16		60
FSA		-		42		42		1		1		42
MBIA		12		139		151		13		11		153
MGIC		-		5		5		-		1		4
PMI GROUP INC		25		-		25		-		7		18
XL CAPITAL LTD		72		62		134		2		10		126
Total by Monoline insurer (2)	$	139	$	541	$	680	$	20	$	101	$	599

(1)

Additional indirect insured exposure through structured securities is excluded from this table.

(2)

Does not include the fair value of trading securities totaling $30 million, which support our Modco reinsurance agreements because investment results for these agreements are passed directly to the reinsurers. The $30 million in trading securities consisted of $12 million of direct exposure and $18 million of insured exposure. This table also excludes insured exposure totaling $10 million for a guaranteed investment tax credit partnership.

Lincoln National (LNC) 8-KResults of Operations and Financial Condition